Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo-Reference-Cited by-同舟云学术

Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo

Published:2022-01 Issue: Volume:21 Page:50-68
ISSN:2452-3062
Container-title:Econometrics and Statistics
language:en
Short-container-title:Econometrics and Statistics

Author:

Wee Damien C.H.,Chen Feng^ORCID,Dunsmuir William T.M.

Funder

University of New South Wales

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

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3. Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure;Augustyniak;Methodology and Computing in Applied Probability,2017

4. Marginal likelihood for Markov-switching and change-point GARCH;Bauwens;Journal of Econometrics,2014

5. Theory and inference for a Markov switching GARCH model;Bauwens;The Econometrics Journal,2010

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